Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process
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Cited by:
- Philippe Bergault & Enzo Cogn'eville, 2024. "Simulating and analyzing a sparse order book: an application to intraday electricity markets," Papers 2410.06839, arXiv.org.
- Thomas Deschatre & Xavier Warin, 2023. "A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation," Papers 2307.16619, arXiv.org.
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Keywords
hawkes process; model selection; parameter interpretation; contemporaneous relationship; intraday electricity market;All these keywords.
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